Please see the GNOME Desktop Help.
If the preferred browser is set as default application but still does not work correctly please contact your distribution via their forum or bug tracker.
If the error message "Could not open the link: Operation not supported" is shown, you need to install the package gvfs.
Please see the GNOME Desktop Help.
If you have a technical background you can also tweak these settings by defining scheme-handlers in $HOME/.local/share/applications/mimeapps.list.
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